Rozprawy doktorskie: „Risks”

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Svindland, Gregor. "Convex Risk Measures Beyond Bounded Risks". Diss., lmu, 2009. http://nbn-resolving.de/urn:nbn:de:bvb:19-97156.

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Yang, Fan. "Asymptotics for Risk Measures of Extreme Risks". Diss., University of Iowa, 2013. https://ir.uiowa.edu/etd/4928.

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This thesis focuses on measuring extreme risks in insurance business. We mainly use extreme value theory to develop asymptotics for risk measures. We also study the characterization of upper comonotonicity for multiple extreme risks. Firstly, we conduct asymptotics for the Haezendonck--Goovaerts (HG) risk measure of extreme risks at high confidence levels, which serves as an alternative way to statistical simulations. We split the study of this problem into two steps. In the first step, we concentrate on the HG risk measure with a power Young function, which yields certain explicitness. Then we derive asymptotics for a risk variable with a distribution function that belongs to one of the three max-domains of attraction separately. We extend our asymptotic study to the HG risk measure with a general Young function in the second step. We study this problem using different approaches and overcome a lot of technical difficulties. The risk variable is assumed to follow a distribution function that belongs to the max-domain of attraction of the generalized extreme value distribution and we show a unified proof for all three max-domains of attraction. Secondly, we study the first- and second-order asymptotics for the tail distortion risk measure of extreme risks. Similarly as in the first part, we develop the first-order asymptotics for the tail distortion risk measure of a risk variable that follows a distribution function belonging to the max-domain of attraction of the generalized extreme value distribution. In order to improve the accuracy of the first-order asymptotics, we further develop the second-order asymptotics for the tail distortion risk measure. Numerical examples are carried out to show the accuracy of both asymptotics and the great improvements of the second-order asymptotics. Lastly, we characterize the upper comonotonicity via tail convex order. For any given marginal distributions, a maximal random vector with respect to tail convex order is proved to be upper comonotonic under suitable conditions. As an application, we consider the computation of the HG risk measure of the sum of upper comonotonic random variables with exponential marginal distributions. The methodology developed in this thesis is expected to work with the same efficiency for generalized quantiles (such as expectile, Lp-quantiles, ML-quantiles and Orlicz quantiles), quantile based risk measures or risk measures which focus on the tail areas, and also work well on capital allocation problems.

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3

Wolf, Elke. "IS risks and operational risk management in banks /". Lohmar : Eul, 2005. http://www.gbv.de/dms/zbw/480662231.pdf.

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Tang, Zhaofeng. "Quantitative risk management under systematic and systemic risks". Diss., University of Iowa, 2019. https://ir.uiowa.edu/etd/7035.

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The contemporary risk management practice emphasizes the interplay of multilevel risks, of which the systematic and systemic risks are considered the main culprits of catastrophic losses. With this in mind, this thesis investigates three important topics in quantitative risk management, in which the systematic and systemic risks play a devastating role. First of all, we center on the design of reinsurance policies that accommodate the joint interests of the insurer and reinsurer by drawing upon the celebrated notion of Pareto optimality in the context of a distortion-risk-measure-based model. Such a topic is of considerable practical interest in the current post financial crisis era when people have witnessed the significant systemic risk posed by the insurance industry and the vulnerability of insurance companies to systemic events. Specifically, we characterize the set of Pareto-optimal reinsurance policies analytically and introduce the Pareto frontier to visualize the insurer-reinsurer trade-off structure geometrically. Another enormous merit of developing the Pareto frontier is the considerable ease with which Pareto-optimal reinsurance policies can be constructed even in the presence of the insurer's and reinsurer's individual risk constraints. A strikingly simple graphical search of these constrained policies is performed in the special cases of value-at-risk and tail value-at-risk. Secondly, we propose probabilistic and structural characterizations for insurance indemnities that are universally marketable in the sense that they appeal to both policyholders and insurers irrespective of their risk preferences and risk profiles. We begin with the univariate case where there is a single risk facing the policyholder, then extend our results to the case where multiple possibly dependent risks co-exist according to a mixture structure capturing policyholder's exposure to systematic and systemic risks. Next, we study the asymptotic behavior of the loss from defaults of a large credit portfolio. We consider a static structural model in which latent variables governing individual defaults follow a mixture structure incorporating idiosyncratic, systematic, and systemic risks. The portfolio effect, namely the decrease in overall risk due to the portfolio size increase, is taken into account. We derive sharp asymptotics for the tail probability of the portfolio loss as the portfolio size becomes large and our main finding is that the occurrence of large losses can be attributed to either the common shock variable or systematic risk factor, whichever has a heavier tail. Finally, we extend the asymptotic study of loss from defaults of a large credit portfolio under an amalgamated model. Aiming at investigating the dependence among the risk components of each obligor, we propose a static structural model in which each obligor's default indicator, loss given default, and exposure at default are respectively governed by three dependent latent variables with exposure to idiosyncratic, systematic, and systemic risks. The asymptotic distribution as well as the asymptotic value-at-risk and expected shortfall of the portfolio loss are obtained. The results are further refined when a specific mixture structure is employed for latent variables.

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Bohman, Peter, i Erik Karlsson. "Leasing Risks and Commercial Real Estate : A Study on the Relationship Between Risk Premium and Leasing Risks". Thesis, KTH, Fastigheter och byggande, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-254721.

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Purpose: The purpose of this thesis paper is to evaluate what the current market practice of real estatevaluation and investment decisions is when it comes to different leasing risks and the risk premium.With regard to some of the ongoing trends within real estate, it is believed that investor preferencesaffect the market practice and the underlying theories of valuation does not fully comply to the currentmarket practice. Method: The implementation of the method is stage wise. At first already existing research andliterature was evaluated and triangulated to find relevant knowledge as basis for the theoreticalframework. Afterwards an analysis was performed to answer whether there is a research gap or not.By analyzing the literature, a research gap as well as potential problems related to leasing risks wasfound. The second phase consisted of a qualitative method where experts in the field were interviewedregarding leasing risk to evaluate whether the problem exist in practice or only in literature.Experts on the topic also helped to develop the questions consequently delivered to the interviewees.The mentioned strategy was done with guidance of our tutor Han-Suck Song at KTH and DanielHolmkvist at CBRE. Interviews: Nine interviews were conducted where experts in the business (consultants and propertyfirms) participated to deliver different perspectives on the research question. All interviews were madein Stockholm and held in Swedish and afterwards translated to English. Results: The results consist of the answers from the interview-part, where the relevant findings weresummarized and pin-pointed with regard to the respective field of business and property segment.The general themes that arose throughout the methods are presented, as well as the extremes in termsof opinions and answers. It was found that there is a clear relationship between the leasing risk and therisk premium for commercial real estate. The relationship depends on several factors such asgeographical location, the different submarkets and finally the segment. A municipal- or corporate bondcannot be fully comparable to a leasing contract but for a 20 year or longer contract where the tenant ispublicly financed, the contract can become an interesting investment alternative due to the currentinterest rate cycle. Finally the leasing contract needs to be more effortless to liquidate in order to becomparable to the bond situation. Scientific relevance: The recent transaction activity on the Swedish real estate market has been ratherdefensive for multiple segments the last twelve months with an exception of community properties.A common understanding is that such objects feature “stable tenants” and are viewed as a safeinvestment by the market. This investment practice raises the awareness of what a stable tenant is, andhow the consultants and property owners’ reason during investments and appraising decisions.This research paper illustrates that a common perception on the subject is that the risk exposurecompletely depends on the specific segments, location or contract length etc. The academic researchexplains the theory behind how to derive the discount rate for an investment decision, however thisstudy has during the literature review proven that several important concepts are left out in the theorypartand thus does not fully cover phenomena’s that investors and appraisers are exposed to duringmarket practice. The most critical part is how to relate leasing risk to the risk premium on the Swedishmarket. Since this study focuses on specifically the Swedish market it is crucial to relate to suitableliterature review for further discussions. On foreign markets, more rigid literature on the subject wasfound.
Syfte: Syftet med detta examensarbete är att undersöka vad den aktuella marknadspraxisen inomfastighetsvärdering samt investeringsbeslut är gällande olika nivåer av hyresgästrisker och riskpremie. Metod: Genomförandet av undersökningen har gjorts i två steg. I ett första steg har tidigare forskninginom ämnet analyserats för att finna relevant teori samt identifiera eventuella forskningsgap. Efteranalysen konstaterades ett uppenbart informationsgap inom litteraturen relaterat till hyresgästrisker.Den andra fasen bestod av en kvalitativ metod där experter inom området har intervjuats gällandehyresgästrisker, för att utvärdera om problemet finns i praktiken eller endast i teorin. För att konstruerafrågorna fick vi assistans av experter inom ämnet via våra handledare Han-Suck Song, KTH och DanielHolmkvist, CBRE. Intervjuer: Nio intervjuer genomfördes med experter inom ämnet där både konsulter ochfastighetsägare deltog för att presentera olika synvinklar på problemet. Samtliga intervjuer ärgenomförda i Stockholm och på svenska. Intervjuavsnitten har översatts till engelska i efterhand. Resultat: Resultatavsnittet består av de svar som har erhållits från intervjuerna, där relevantaresonemang har summerats och noggrant strukturerats för att koppla marknadsområden till korrektfastighetssegment. Återkommande teman och ämnen har presenterats i resultatavsnittet, så väl somavvikande uppfattningar. Resultatet visar att det finns ett tydligt samband mellan riskpremium ochhyresgästrisker gällande kommersiella fastigheter. Sambandet beror på ett flertal faktorer där läge ochfastighetssegment har störst inverkan på riskpremien. Gällande obligationsmarknaden går det inte attlikställa ett hyresavtal med en obligation under något förhållande. Däremot om avtalet avser enkontraktslängd på 20 år eller längre och en offentligt finansierad hyresgäst så kan kassaflödet bli ettintressant investeringsalternativ till befintliga obligationer på marknaden. Detta beror till stor del pånuvarande ränteläge. Slutligen måste ett hyresavtal bli lättare att omsätta för att kunna jämföras meden alternativ obligation. Vetenskaplig relevans: Transaktionsaktiviteten på den svenska fastighetsmarknaden har varit relativtdefensiv för flertalet segment med undantag för samhällsfastigheter de senaste tolv månaderna. Dengenerella uppfattningen är att samhällsfastigheter avser ”stabila hyresgäster” och därmed ses som enmindre riskfylld investering. Detta medför frågeställningen, vad avses för att klassificera en hyresgästsom stabil, och hur resonerar konsulter samt fastighetsägare vid investerings- och värderingsbeslut?Efter att ha genomfört undersökningen går det att konstatera att en allmän uppfattning bland experterinom området är att hyresgästrisken till största del beror på vilket segment, lokalisering ellerkontraktslängd som avses. Den akademiska litteraturen förklarar hur diskonteringsräntan härleds förinvesteringsbeslut, men denna undersökning visar att den tillgängliga litteraturen antingen utelämnarflera viktiga koncept eller inte tillräckligt belyser fenomen som investerare och värderare möter i sittpraktiska arbete. Det grundläggande avsnittet som svensk litteratur till viss del utelämnar är sambandetmellan risk premium och hyresgästrisk på specifikt den svenska marknaden. Det finns utländsk litteratursom belyser denna typ av frågeställningar, men just för den svenska marknaden är litteraturen till vissdel ej tillräcklig och därmed har ett potentiellt forskningsgap inom området identifieras.

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Zwickle, Adam K. "Communicating Environmental Risks". The Ohio State University, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=osu1397500693.

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Eid, Wael Kamal Amin. "Mapping the risks and risk management practices in Islamic banking". Thesis, Durham University, 2012. http://etheses.dur.ac.uk/3582/.

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Although risk management in Islamic banking is one of the major as well as controversial issues of the sector, it is still an under-researched area of study. A lot of uncertainties still exist in risk management in Islamic banking, for which the answers are not yet necessarily clear, but which will play a part in shaping the industry’s future. Effective risk management in Islamic banking, thus, deserves priority attention: unless the industry develops its own genuine risk management architecture, it cannot achieve the dynamism that provides the viability needed for a more resilient financial system than the failing Wall Street model. Therefore, the study of risk management issues of the Islamic banking industry is an important but complex area. This study, hence, explores and analyses risk management practices in the Islamic banking industry through the perceptions of participants who were drawn from the banking and finance industry. The research maps out the opinions and attitudes towards risk and locates the practices of the industry related to risk management. This study provides an up-to-date overview of current market practices, issues, and trends in risk management for Islamic banks. It focuses on practical applications and discusses a wide range of unique risks facing Islamic banks from the perspective of different range of practitioners. To fulfil the aims of the research study, first, the present thesis analyses a number of issues concerning the subject using secondary data. Second, the unique risks facing Islamic banks and the perceptions of banking professionals regarding these risks are surveyed through a questionnaire. The final survey sample comprised 72 surveys from 18 countries. The data were analysed using various statistical analysis techniques ranging from simple frequency distribution analysis to the more advanced analyses such as non-parametric statistical analysis, factor analysis, and MANOVA multivariate analysis of variance. Third, semi-structured interviews were subsequently conducted with 33 leading Islamic banking professionals from 9 countries in order to develop an in-depth understanding of the underlying issues. Focused coding technique is used to analyse and sort the findings. In general, the findings from this study identified weaknesses and vulnerabilities among Islamic banks in the area of risk management and governance. Risk management, monitoring, reporting, and mitigation need to be enhanced across the entire industry. The study has also shown that the majority of respondents consider liquidity, asset-liability management, and concentration risks as the top risks facing Islamic banks. In addition, regional risk perceptions were crystallized by conducting inferential statistical analysis. The findings also show that, although Islamic banks have shown resilience, they are not immune to financial shocks. The study asserts that the root drivers of the prevailing financial system have to be challenged and replaced by a more transparent and ethical alternative, for which Islamic finance is a serious yet underdeveloped option. The real issue in Islamic banking is the excessive reliance on form at the expense of substance. It should also be noted that the findings of the study have policy-making implications which could benefit regulators, policy makers, Shari’ah scholars, practitioners, academia, and institutional stakeholders. Furthermore, this study has filled a gap in the literature by empirically exploring risk management issues from an Islamic banking perspective.

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Bower, Sue. "Taking risks with dementia : exploring practitioner accounts of risks and decision-making". Thesis, Sheffield Hallam University, 2011. http://shura.shu.ac.uk/20632/.

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In contemporary health and social care, stories of risk and risk management pervade practice discourse. This study explores practitioner accounts of risk management and decision-making in dementia care, with a particular focus on wellbeing and quality of life. Interviews were undertaken with 11 practitioners working within NHS dementia care services in the north of England, during 2008. These were used to examine how practitioners talked about risk management, and their constructed and represented understandings of risk and decision-making. My analysis of practitioners' stories was undertaken alongside considerations of key policy and practice guidelines. Practitioners portrayed complex, contextual, reflexive approaches to risk management decision-making. Some discourses were so useful or strong they were represented as if they were the truth, whilst other discourses were questioned and reconstructed. Practitioners represented decision-making along continuums, such as subjective-objective and emotional-cognitive. Their accounts included stories of home, practice cultures, risk-taking, wellbeing, resources and discrimination. Some risk management strategies were portrayed as hazardous, in particular living 'in care', and practitioners consistently portrayed risk management decision-making as full of dilemmas and uncertainty. Unlike some dementia care research and policy, practitioners' stories did not prioritise physical wellbeing over psychological wellbeing. Some practitioners proposed a reconsideration of risk management decision-making that takes more account of the benefits and values of risk-taking. This research contributes to understandings of practitioners' decision-making and dilemmas in risk management with people living with a dementia. By positioning some dissemination within daily practice and discourse, I hope my study will trigger discussion, ideas, and action.

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Sadki, F. (Faycal), i P. M. (Paul Mergin) Singaraja. "Risks in global transport". Master's thesis, University of Oulu, 2018. http://jultika.oulu.fi/Record/nbnfioulu-201805301957.

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Abstract. The background of this project is that the case company delivers its products to customer all over the world using different supply chains. Currently, the products are packed and shipped in relatively similar packages without considering the specific requirements of the various supply chains, which raises the concern of poor packaging performance. Meaning that the packaging system was not designed to meet the supply chain requirements which ultimately leads to product damage or quality deterioration. The purpose of this thesis is to define the conditions that the product and the industrial package are exposed to in the various supply chains, as they flow from the Alfa Laval facility in Lund to the customers. The identification of the supply chain conditions will provide essential data that can be used as a foundation to enhance the industrial package’s performance and increase the protection of products during transport. The methodology used is an abductive research using systems thinking, in which theoretical knowledge was combined with empirical data collected through various methods to answer the research questions and provide suggestions for improvements. The data collection methods were interviews, observations, internal documents examination, data loggers and GPS trackers. The Conclusions were that the product and the industrial package are exposed to various risks that can be classified as mechanical, chemical & biological or miscellaneous risks. The occurrence of risks and the extent of damage they can cause are influenced by factors related to the product & its package, the communication between the forwarders, the climatic conditions, the human factor and finally factors related to activities of transport, handling & storage. The shipped cargo was exposed to high humidity shocks throughout the different supply chains. The cargo was not exposed to more damaging conditions in developing countries, as high humidity levels and shocks were also recorded within the production facility in Lund and during handling in EU countries (e.g. at ports).

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Gabriel, Isaac J. "Perceptions of Online Risks". NSUWorks, 2007. http://nsuworks.nova.edu/gscis_etd/533.

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People mentally organize information, attitudes, and images about an environment in so called "cognitive maps." However, no cognitive maps of people's attitudes and perceptions related to online risks have yet been captured. This research initiative studied risk perceptions in the context of e-commerce and attempted to uncover a cognitive map of people's e-commerce-related risk perceptions and attitudes using the psychometric paradigm. A study with 1,119 online shoppers was used to collect data. Analysis of data with regard to current and acceptable levels of risk and desired levels of regulation revealed that highly risky online hazards were not acceptable to consumers; in order for them to be acceptable, these hazards would need to be made safer. At the same time, less risky hazards were more or less acceptable to consumers. In addition, highly risky hazards would need to be regulated more heavily than less risky ones. The most and the least risky hazards were identified. In addition, factor analysis was conducted to identify ecommerce- related risk dimensions and produce a factor space diagram. The latter represented a "cognitive map" of people's e-commerce-related risk perceptions and attitudes. Results suggested that subjects distinguish risks using four dimensions: (a) dread/direness of consequences; (b) knowledge about risk and effects of consequences; (c) ability to control or avoid risks; and (d) willingness to pay to mitigate risks and familiarity with risks. There are numerous potential benefits of this research. First of all, this dissertation produced a cognitive map of people's e-commerce-related risk perceptions and attitudes. The findings would help researchers to understand and predict people's reaction to risks posed by online hazards. Second, this study attempted to transfer a proven and popular methodology of risk perception research, the psychometric paradigm, to a new domain, ecommerce. Third, this study added empirical data regarding online risk perceptions to the existing body of the relevant academic research. Finally, the findings are also relevant to practitioners such as policy makers, management teams of e-commerce firms, and Web designers and developers.

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Дядечко, Алла Миколаївна, Алла Николаевна Дядечко, Alla Mykolaivna Diadechko i L. Saban. "Bankruptcy: causes and risks". Thesis, Видавництво СумДУ, 2008. http://essuir.sumdu.edu.ua/handle/123456789/16050.

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Zhigula, Sofiya, Софія Ігорівна Жигула, Anna Vasylenko i Анна Євгенівна Василенко. "Risks in customs logistics". Thesis, National Aviation University, 2021. https://er.nau.edu.ua/handle/NAU/50549.

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1. Tamozhennyi rysk 19.02.2020 [Electronic resource]. – Available at: https://www.eride.ru/blog/tamozhennyj-risk/ 2. Вісник. Управління митними ризиками 23.09.2018 [Electronic resource]. – Available at: http://www.visnuk.com.ua/ua/pubs/id/9019 3. Marina Komissarova, Dmitry Rygalovskiy Possibilities of risk management to achieve sustainable enterprise development // Russian Journal of Entrepreneurship. - 2016. - No. 22. - P. 3197–3206.
Economic development depends primarily on the integration of the country's foreign economic policy with the world economy; active involvement of public and private business entities in international trade; state regulation of foreign trade; active export-import activity; creation of favorable conditions aimed at accelerating foreign trade turnover and creating conditions favorable to legal trade, it becomes obvious that a significant role in the implementation of this direction is played by monitoring compliance with the provisions of customs legislation, which is carried out using a risk management system.
Економічний розвиток насамперед залежить від інтеграції зовнішньоекономічної політики країни зі світовою економікою; активне залучення суб’єктів державного та приватного бізнесу до міжнародної торгівлі; державне регулювання зовнішньої торгівлі; активна експортно-імпортна діяльність; створення сприятливих умов, спрямованих на прискорення зовнішньоторговельного обороту та створення сприятливих умов для легальної торгівлі, стає очевидним, що значну роль у реалізації цього напряму відіграє контроль за дотриманням положень митного законодавства, що здійснюється з використанням ризику система управління.

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Pai, Yu-Jou. "Risks in Financial Markets". University of Cincinnati / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1584003500272517.

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Leuker, Christina. "Risks, rewards and rationality". Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/19588.

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“Wer nicht wagt, der nicht gewinnt!” —hohe Gewinne sind oft unwahrscheinlich. Theorien der “Adaptiven Kognition” sagen voraus, dass ein solcher statistischer Zusammenhang aus der Welt kognitive Prozesse systematisch beeinflussen kann (u.A. Anderson, 1991; Brunswik, 1944; Gibson, 1979). Im 1. Kapitel gebe ich einen breit gefächerten Überblick warum dies der Fall sein kann. Im 2. Kapitel zeige ich experimentell, dass eine Korrelation zwischen Gewinnhöhe und Gewinnwahrscheinlichkeit Entscheidungen unter Unsicherheit (keine Gewinnwahrschenlichkeit gegeben) beeinflusst. Versuchspersonen schätzten die Gewinnwahrscheinlichkeit gemäß der Gewinnhöhe ein. Im 3. Kapitel zeige ich experimentell, dass Versuchspersonen durch die Korrelation zwischen Gewinnhöhe und Gewinnwahrscheinlichkeit Erwartungen aufbauten: War eine Option “überraschend”, z.B. da sie einen hohen Gewinn mit einer hohen Wahrscheinlichkeit verspricht, wurde eine solch überraschend gute Optionen länger evaluiert. Im 4. Kapitel beschäftige ich mich mit Entscheidungen unter Risiko. Mithilfe eines kognitiven Modells zeige ich, dass eine Struktur, in der hohe Gewinne sich als unwahrscheinlich erweisen, zu einer schnelleren, einfacheren Entscheidungsstrategie führen, als eine unkorrelierte Struktur. Im 5. Kapitel zeige ich, wie das von vielen Menschen angenommene “No free Lunch” Prinzip sich auf die Beurteilung von Risiken im Bereich klinischer Studien auswirkt: Hohe Vergütungen für klinische Studien können dazu führen, dass die Studie als riskanter und schlussendlich unethischer wahrgenommen wird. Zusammengefasst ergänzt die Arbeit ergänzt vorherige Forschung, indem sie zeigt, dass Gewinne und Wahrscheinlichkeiten nicht nur in der Welt systematisch miteinander verbunden sind, sondern auch in der menschlichen Kognition. Dies wirft ein neues Licht auf eine alte Frage: Wer entscheidet wann “rational”, und warum?
The large rewards that people desire are typically unlikely. Theories of adaptive cognition predict that such a regularity can systematically affect how the mind operates (e.g. Anderson, 1991; Brunswik, 1944; Gibson, 1979). In this dissertation, I theoretically and empirically examined how the link between risks and rewards affects judgments and decisions. In Chapter 1, I provide a broad theoretical overview. In Chapter 2, I show how people exploit risk–reward structures in decisions under uncertainty; that is, decisions in which probabilities are unavailable to the decision maker or difficult to ascertain. In these situations, people can infer the probabilities of events directly from the payoffs when risks and rewards are found to be correlated. Chapter 3 shows that risk–reward shapes how people evaluate options in decisions under risk. Surprising options that did not fit surrounding risk–reward structures were linked to longer response times and an increase in pupil size, particularly when options were “surprisingly good”—i.e., when they offered a high payoff and a high probability. Chapter 4 addresses how risk–reward structures affect decisions under risk in general. A computational model showed that risk–reward structures do not change (subjective) preferences in choices. Instead, risk–reward structures affect how people accumulate evidence in risky choice. Specifically, inversely related risks and rewards promote satisficing whereas uncorrelated risks and rewards promote maximizing. In Chapter 5, I provide an example of how risk–reward structures affect decision making in the wild. Specifically, I show that some individuals use very high pay as a cue to infer the potential risks a clinical trial poses. Taken together, this work suggests that people’s risk–reward priors should not be blindly assumed away, and challenges assumptions on who is considered rational and why.

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Wanga, Godwill George. "Hedging Exchange Rate Risks". ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/3373.

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Risks associated with fluctuating exchange rates affect investment cost and investor profitability. Approximately 50% of firms in emerging markets have significant exposure to fluctuating exchange rates. Grounded in principal-agent theory (PAT), the purpose of this case study was to explore hedging strategies to mitigate risks of fluctuating exchange rates. The population comprised a census sampling of 12 bank hedgers (risk managers and controllers) in Dar es Salaam in Tanzania, East Africa. Data collection involved semistructured interviews, casual observations of the work environment, and analysis of reports including risk management, internal control, and compliance policies. Data were analyzed by coding and grouping narrative segments and significant statements into themes of participants' experience in hedging exchange rate risks. Method triangulation and member checking were used to increase the trustworthiness of interpretations. Four themes emerged directly related to the PAT conceptual framework: training and skills development, management of hedging strategies and contracts, corporate governance, and benefits to management and the organization through effective compensation programs. A focus on training and skill development helped develop appropriate exchange rate hedging strategies and corporate governance improved compliance with laws, regulations, and policies. The benefits of effective hedging strategies include a reduction in cost and increase in profitability. The findings may help improve the soundness of professional hedging practices, which will increase the stability of the Tanzanian banking system.

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Louaas, Alexis. "Insurability of catastrophic risks". Thesis, Université Paris-Saclay (ComUE), 2018. http://www.theses.fr/2018SACLX038/document.

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Cette thèse étudie l’assurabilité des risques catastrophiques sous différents angles. Le premier chapitre intéresse aux risques de très faibles probabilités. Nous montrons comment des instruments financiers hybrides, tels que les obligations catastrophes, peuvent être utilisés pour étendre le domaine d’assurabilité des risques catastrophiques. Notre application au cas du nucléaire en France révèle que, malgré des prix plus élevés pour la réassurance des événements de faibles probabilités, il est possible, et vraisemblablement souhaitable d’organiser un système d’assurance plus important que ce que prévoit la loi française. Le second chapitre s’attaque à la question du prix de la réassurance des risques de faibles probabilités. Nous montrons que les risques catastrophiques, ayant une composante systémique, donnent lieu à une prime de risque dont le montant décroit avec la probabilité de la catastrophe moins rapidement que la disposition à payer d’un assuré typique. Cela explique pourquoi les risques systémiques de faibles probabilités sont difficiles à assurer. Le troisième chapitre étudie le rôle des contrats mutuels et participatifs pour améliorer l’assurabilité des risques catastrophiques. De tels contrats permettent aux assurés d’ajuster au mieux leur demande d’assurance, en prenant en compte la dimension systémique des risques auxquels ils sont exposés. Enfin, le quatrième chapitre étudie l’utilisation d’obligations catastrophes pour assurer le risque de variations du prix des matières premières agricoles consécutives à des aléas climatiques extrêmes. En émettant une obligation catastrophe, l’entreprise qui s’approvisionne en matières premières emprunte un capital qu’elle peut conserver en cas de catastrophe, lorsque ses coûts d’approvisionnement sont élevés. Cette solution présente deux avantages par rapport à une couverture par achats de contrats à terme. D’une part,elle permet de réduire la facture d’assurance par effet de diversification. D’autre part, elle permet d’ajuster la couverture aux contraintes logistiques et stratégiques particulières de l’entreprise
This thesis addresses several aspects of the insurability of catastrophic risks. In a first chapter, we focus on very low probability events and we show how hybrid financial instruments can be used to extend the domain of insurablerisks. Our application to the case of nuclear accidents using cat-bonds data in France shows that despite the higherprice of reinsurance for low probability events, it is advisable to insure more than is currently provided for by the Frenchlaw. The second chapter takes on the issue of why reinsurance is more costly for low probability events. We show thatbecause catastrophic risks have a systemic component, they give rise to a risk premium in equilibrium which decreasesat a lower pace than the willingness to pay for insurance. We use this finding to explain why systemic low probability catastrophes are hard to insure. The third chapter investigates the role of mutual and participating contracts to improveinsurability. Such contracts are necessary for people to adjust their demand for insurance when individual losses are correlated. Finally, the fourth chapter investigates the use of cat-bonds to hedge the risk of extreme agricultural suppliesprice variations. By issuing a cat-bond, the firm that purchases supplies borrows a capital that can be retained in caseof catastrophe. Such a solution would combine the advantage of risk-pooling, to lower the price of insurance, with lowerbasis risk compared to more traditional hedging strategies such as future purchases

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17

Grude, Lillian. "Risk Factors for Breast, Uterine and Ovarian Cancer: A competing Risks Analysis". Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag, 2011. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-13572.

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A competing risks situation arises when a unit can fail due to several distinct failure types. In a competing risk situation, standard techniques from survival analysis may lead to incorrect and biased results. In this thesis, the theory of competing risks is used to identify possible risk factors for breast, uterine and ovarian cancer. This has been done by regression on the cause specific hazard functions, the subdistribution hazard functions and two approximate methods. Cox regression is used for a complete analysis of the medical data.By following 61457 women over approximately 50 years, it has been observed 3407 cases of breast cancer, 934 of uterine cancer and 843 of ovarian cancer. Summarized, it has been found that several births decrease the risk of breast, uterine and ovarian cancer. Obesity is associated with increasing risk of ovarian cancer for postmenopausal women, but not premenopausal. A long reproductive period (early menarche and/or late menopause) and high BMI increases the risk of breast and uterine cancer. Late first and last birth decreases the risk of uterine cancer, while it increases the risk of breast cancer. The data used in the analysis is selected from a screening program organized by the Norwegian Cancer Society for early diagnosis of breast cancer. postmenopausale women, but not premenopausale. A long reproductive period (early menarche and/or late menopause) and high BMI increases the risk of breast and uterine cancer. Late first and last birth decreases the risk of uterine cancer, while it increases the risk of breast cancer. The data used in the analysis is selected from a screening program organized by the Norwegian Cancer Society for early diagnosis of breast cancer.

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18

Hellman, Isabella. "Automated Risk Assessment : potential benefits and risks in the Swedish insurance market". Thesis, Linnéuniversitetet, Institutionen för informatik (IK), 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-54641.

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The technological advances made in society has affected many industries, one that is affected is the insurance market. The purpose of this thesis has been to identify potential benefits and risks connected to the automation of the risk assessment process of life insurance on the Swedish insurance market. In order to enhance the understanding and further enabling the identification of the potential benefits and risks the future process, as preferred by the participants, and the current process are discussed. The thesis includes the participants by using participatory design and analyzes the findings in connection to literature within the area of e-business and strategic planning. The result shows a number of identified benefits of automating the risk assessment process along with potential risk that should be addressed.

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Rasheed, Hifza. "Improved integrated risk assessment of geogenic arsenic : exposure and attributable health risks". Thesis, University of Leeds, 2018. http://etheses.whiterose.ac.uk/20044/.

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The linkage between arsenic contaminated water and increased cancer risk is well recognized. The potential health risk posed by separate inorganic and organic arsenic species through combined exposure to arsenic contaminated water and staple foods is not well understood though. Therefore, this research aims to improve arsenic risk assessment by investigating the primary exposure sources, pathways, metabolism and response indicators in an integrated manner. The population based water and food consumption pattern characterised by this research was used to validate the cancer risk modelling which demonstrated that using water or food intake values from the developed world may not represent cancer risks to the specific population in question. Integrating this characterisation with arsenic species provided several key insights. Arsenate was identified as the main species in the ground water aquifers of five villages whilst the predominance of arsenite and its co-existence with arsenate in one village indicated variations in aquifer redox conditions. Wheat cultivated with arsenic-rich irrigation water proved to be an alternate exposure pathway of inorganic arsenic. The species specific probabilistic cancer and non-cancer risks were found to be higher for arsenite followed by arsenate, whilst no risk was found for dimethylarsinic acid of dietary origin. The comparative impact of various reference doses on chronic health risk substantiated that children are at higher vulnerability, whilst using population based exposure characteristics of this study population and relative risk estimates from southwest Taiwan, showed females to be at higher risk of life time bladder and lung cancer due to inorganic arsenic. No risk was associated with low doses of arsenic. Total ingested arsenic from water or food under the effect of certain potential modifiers was a significant predictor of arsenic species in human biomarkers and proved toenail to be a comparatively effective biomarker. At low arsenic levels in water, food associated total arsenic was a better predictor of urinary metabolites. The total arsenic intake from water and urinary metabolites under the effect of labour jobs strongly predicted the increased risk of arsenical skin lesions. Probabilistic risk modelling indicated that persons with skin lesions were at higher risk of transformation of skin lesions into skin cancer, also evidenced with their lower methylation capability. Overall, this thesis provides evidence that species based risk assessment requires a greater understanding of exposure matrix, toxicological thresholds and metabolic reactions from ingestion to potential endpoints. This study has provided a baseline of inorganic arsenic for risk management to set public health water supply goals and to minimize the daily consumption of cooked rice for compliance with the safe arsenic limit. The findings are suitable to support future regulatory processes for species based arsenic limits in water together with staple foods.

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Lages, Nadine Cathérine [Verfasser]. "Risk Perception and Behavior Related to Changing Health Risks / Nadine Cathérine Lages". Konstanz : KOPS Universität Konstanz, 2021. http://nbn-resolving.de/urn:nbn:de:bsz:352-2-1jreaj87dwsce3.

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Chijoke-Mgbame, Aruoriwo Marian. "The effect of CEO background risks on risk taking and firm performance". Thesis, Middlesex University, 2016. http://eprints.mdx.ac.uk/21274/.

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The motivation for this thesis is founded on the increasing studies on executive compensation as it relates to risk taking and firm performance which has resulted in inconclusive results. A large number of the empirical studies on executive pay have focused on agency theory alone to examine its effect on risk taking behaviour and firm performance. The purpose of this research is to contribute to existing knowledge on executive compensation by incorporating background risk theory as a means through which an understanding of executive compensation and its effects on risk taking and firm performance can be analysed. The background risk theory, suggest that the introduction of an additional risk when one has been committed to result in risk aversion. The study employs data from the London Stock Exchange with a sample of FTSE350 non-financial firms for the period 1997-2010. To achieve the objective of the study, the thesis is divided into three independent but related empirical chapters. The first examines the link between background risk and executive compensation-risk taking relationship. The second empirical chapter examines the effect of background risk on the relationship between executive compensation and firm performance. Lastly, the third empirical chapter examines some determinants of CEO background risk with a particular focus on CEO employment risk. The findings of the first empirical chapter provide strong support for the background risk theory. The study finds that the presence of background risk results in lower risk taking by CEOs. In addition, the study provides instances where background risk combined with the risk in the compensation package leads to risk aversion and less risk taking by the CEO. The second empirical chapter finds that even though compensation may result in better firm performance, the presence of additional risk known as background risk alters the relationship between compensation and firm performance. Specifically, the presence of background risk leads to a negative relationship between compensation and firm performance. The findings of the first two empirical studies inspired further research on the determinants of CEO background risk. The findings reveal that large boards and independent boards, increase the likelihood of CEO employment risk. However, CEO network size reduces the likelihood of employment risk.

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Nöth-Zahn, Stephanie. "Enterprise Risk Management : insights on emerging risks from the German banking sector". Thesis, Edinburgh Napier University, 2017. http://researchrepository.napier.ac.uk/Output/1023156.

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IT innovations have reshaped banking and will continue to do so. They are a manifestation of indispensable progress, yet risks emerge from IT innovations. Historic data and accounts of emerging risk experiences are rather scarce. Hence, they present a special challenge to risk management as they are hard to identify. Moreover, traditional risk management practices, relying on historic data, may not be fully adequate. What solutions can be offered by risk management to manage these risks? When is an uncertainty understood as an emerging risk? Who needs to be involved in the risk management process?The research asks the seemingly obvious question, yet this important topic has been regularly neglected in academics as well as in practice. Both literature and theoretical basis have only recently developed so as of yet there is little availability of varying viewpoints and reliable theories. 70% of the banks interviewed do notactively consider emerging risks in their risk management process. The banks take a reluctant position in general, waiting to see how things develop. Only three banks have a proactive approach and manage emerging risks from IT innovation in using an enterprise-wide approach such as Enterprise Risk Management (ERM).Therefore, this work develops a conceptual framework which aims to fill the research gap between ERM as an approach to holistic portfolio risk management and the lack of academic and practical work on emerging risks. The conceptual framework explores how banks can apply ERM to manage emerging risks in the future. Researching this topical phenomenon, extending today's common application and understanding of emerging risks and ERM in practice and academia is one of the most challenging tasks confronting future risk management (Bromiley et al., 2015).To the author's knowledge, this project is one of the first to take this challenge.

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HADJI, MISHEVA BRANKA. "Measuring Financial Risks: The Application of Network Theory in Fintech Risk Management". Doctoral thesis, Università degli studi di Pavia, 2020. http://hdl.handle.net/11571/1344336.

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Recent advancements, gradually transforming the traditional economic and financial system, are mainly characterized with the emergence of digital-based systems. Such systems present a paradigm shift from traditional infrastructural systems to technological (digital) systems. Financial technological (Fintech) companies are gradually gaining ground in major developed economies across the world. The emergence of Peer-to-Peer (P2P) platforms is a typical example of a Fintech system. The P2P platform aims at facilitating credit services by connecting individual lenders with individual borrowers without the interference of traditional banks as intermediaries. Despite the various advantages, P2P systems inherit some of the challenges of traditional credit risk management. In addition, they are characterized by the inability to solve for asymmetric information as efficiently as banks and by differences in risk ownership which in turn might motivate them to push volume even in view of reduced credit standards. Finally, P2P systems note a strong interconnectedness among their users which makes distinguishing healthy and risky credit applicants difficult, thus affecting credit issuers. There is, therefore, a need to explore methods that can help improve credit scoring of individual or companies that engage in P2P credit services. We argue that P2P platforms, through the use of non-traditional data sources as well as advance modelling, can offer a new approach on credit risk evaluation in the context of P2P systems. Specifically, we suggest that the use of alternative data that summarize the interconnections that emerge between borrowers could counterbalance the inherent risks of the business model and in turn lead to higher accuracy in risk classes assignment. Namely, P2P systems can benefit from the inclusion of information on the interconnections or similarities that emerge between different participants on the platform, i.e can benefit from the application of network theory in the credit risk evaluation. Consequently, the overall objective of this thesis is to test the predictive utility of traditional credit scoring models as they are employed in the context of P2P systems and investigate whether the inclusion of network parameters i.e. information on how borrowers are connected, can improve the predictive utility of models. In this work, we propose several approaches on how network theory can be employed to improve the statistical-based credit scoring for P2P systems and those are: (i) correlation-based credit scoring (in the case in which time-varying financial information on borrowers is available on the platform); (ii) similarity-based credit scoring (for cross-sectional data), (iii) factor-network-based segmentation. Furthermore, the thesis also includes an application of network theory in improving Fintech risk management, in a context beyond Fintech credit. Specifically, we also provide an application of network theory in understanding the dynamics of Bitcoin blockchain trading volumes and, specifically, how different trading groups, in different geographic areas, interact with each other. The empirical results presented in this thesis suggest that credit risk management of SMEs engaged in P2P credit services can be improved by employing network theory. Specifically, we demonstrate the effectiveness of our approach through empirical applications analyzing the probability of default of several different samples of SMEs involved in P2P lending across Europe. In each case, we compare the results from our network-augmented model with the one obtained with standard credit score methods and throughout we find that the network-based methodologies lead to an improvement in predictive utility. This finding further remains valid also in the context of alternative P2P systems i.e. the Bitcoin network. We find that our network-based model for understanding the dynamics of trading volumes, overperforms a pure autoregressive model.
Recent advancements, gradually transforming the traditional economic and financial system, are mainly characterized with the emergence of digital-based systems. Such systems present a paradigm shift from traditional infrastructural systems to technological (digital) systems. Financial technological (Fintech) companies are gradually gaining ground in major developed economies across the world. The emergence of Peer-to-Peer (P2P) platforms is a typical example of a Fintech system. The P2P platform aims at facilitating credit services by connecting individual lenders with individual borrowers without the interference of traditional banks as intermediaries. Despite the various advantages, P2P systems inherit some of the challenges of traditional credit risk management. In addition, they are characterized by the inability to solve for asymmetric information as efficiently as banks and by differences in risk ownership which in turn might motivate them to push volume even in view of reduced credit standards. Finally, P2P systems note a strong interconnectedness among their users which makes distinguishing healthy and risky credit applicants difficult, thus affecting credit issuers. There is, therefore, a need to explore methods that can help improve credit scoring of individual or companies that engage in P2P credit services. We argue that P2P platforms, through the use of non-traditional data sources as well as advance modelling, can offer a new approach on credit risk evaluation in the context of P2P systems. Specifically, we suggest that the use of alternative data that summarize the interconnections that emerge between borrowers could counterbalance the inherent risks of the business model and in turn lead to higher accuracy in risk classes assignment. Namely, P2P systems can benefit from the inclusion of information on the interconnections or similarities that emerge between different participants on the platform, i.e can benefit from the application of network theory in the credit risk evaluation. Consequently, the overall objective of this thesis is to test the predictive utility of traditional credit scoring models as they are employed in the context of P2P systems and investigate whether the inclusion of network parameters i.e. information on how borrowers are connected, can improve the predictive utility of models. In this work, we propose several approaches on how network theory can be employed to improve the statistical-based credit scoring for P2P systems and those are: (i) correlation-based credit scoring (in the case in which time-varying financial information on borrowers is available on the platform); (ii) similarity-based credit scoring (for cross-sectional data), (iii) factor-network-based segmentation. Furthermore, the thesis also includes an application of network theory in improving Fintech risk management, in a context beyond Fintech credit. Specifically, we also provide an application of network theory in understanding the dynamics of Bitcoin blockchain trading volumes and, specifically, how different trading groups, in different geographic areas, interact with each other. The empirical results presented in this thesis suggest that credit risk management of SMEs engaged in P2P credit services can be improved by employing network theory. Specifically, we demonstrate the effectiveness of our approach through empirical applications analyzing the probability of default of several different samples of SMEs involved in P2P lending across Europe. In each case, we compare the results from our network-augmented model with the one obtained with standard credit score methods and throughout we find that the network-based methodologies lead to an improvement in predictive utility. This finding further remains valid also in the context of alternative P2P systems i.e. the Bitcoin network. We find that our network-based model for understanding the dynamics of trading volumes, overperforms a pure autoregressive model.

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Дмитрик, Ю. В. "Ідентифікація, визначення та причини виникнення валютних ризиків у банківській діяльності як перший етап на шляху управління ними". Thesis, Українська академія банківської справи Національного банку України, 2010. http://essuir.sumdu.edu.ua/handle/123456789/61522.

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На фоні загострення світової фінансової кризи актуальним є питання вдосконалення механізму державного регулювання кризових явищ у банківській системі та відповідної нормативної бази.
In the context of the aggravation of the global financial crisis, the issue of improving the mechanism of state regulation of crisis phenomena in the banking system and the corresponding normative base is relevant.

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Bäckman, Johan. "Railway Safety - Risks and Economics". Doctoral thesis, KTH, Infrastructure, 2002. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-3341.

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Safety analysis is a process involving several techniques.The purpose of this thesis is to test and develop methodssuitable for the safety analysis of railway risks and railwaysafety measures. Safety analysis is a process comprisingproblem identification, risk estimation, valuation of safetyand economic analysis. The main steps are described in separatechapters, each of which includes a discussion of the methodsand a review of previous research, followed by the contributionof this author. Although the safety analysis proceduredescribed can be used for analysing railway safety, it has suchgeneral foundations that it can be used wherever safety isimportant and wherever safety measures are evaluated. Itcombines cost benefit analysis with criteria for thedistribution and the absolute levels of risk.

Risks are estimated with both statistical and risk analysismethods. Historical data on railway accidents are analysed andstatistical models fitted to describe trends in accident ratesand consequences. A risk analysis model is developed usingfault tree and event tree techniques, together with Monte Carlosimulation, to calculate risks for passenger train derailments.The results are compared with the statistical analysis ofhistorical data.

People's valuation of safety in different contexts isanalysed, with relative values estimated in awillingness-to-pay study. A combination of focus groups andindividual questionnaires is used. Two different methods areused to estimate the value of safety and the results arecompared. Comparisons are also made with other studies.

Different approaches for safety analysis and methods foreconomic analysis of safety are reviewed. Cost-benefit analysisas a decision criterion is discussed and a study on theeconomic effectsof a traffic control system is presented.

There are several results of the work. Historical data showsa decrease in the accident rate. The average consequence ofeach accident has not changed over time. The risk analysismodel produces comparable results and enables analysis ofvarious safety measures. The valuation study shows that peopleprefer the prevention of small-scale accidents over theprevention of larger, catastrophic accidents. There are onlysmall differences in the valuation of safety in differentcontexts.

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Taku, Marie Manyi. "Modelling Dependence of Insurance Risks". Thesis, Linnéuniversitetet, Institutionen för datavetenskap, fysik och matematik, DFM, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-9064.

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Modelling one-dimensional data can be performed by different wellknown ways. Modelling two-dimensional data is a more open question. There is no unique way to describe dependency of two dimensional data. In this thesis dependency is modelled by copulas. Insurance data from two different regions (Göinge and Kronoberg) in Southern Sweden is investigated. It is found that a suitable model is that marginal data are Normal Inverse Gaussian distributed and copula is a better dependence measure than the usual linear correlation together with Gaussian marginals.

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Asparuhov, Lachezar. "BYOD - Risks, Solutions and Guidelines". Thesis, Linnéuniversitetet, Institutionen för datavetenskap (DV), 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-48630.

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During the past few years the use of mobile devices became extremely popular not only for personal use but also for working. When personal mobile devices are used as working assets the enterprises should search for some suitable ways to protect their data and network from the unmanaged mobile devices. On the other hand, it is widely believed that employees are more productive when they work from their own devices. This arise three questions: what risks these devices are bringing to the organizations, how to protect the company data and network while allowing the employees to work from their devices, and how adapted the real world is to the Bring Your Own Device trend. To answer these questions and the sub-questions deriving from them, an extensive literature study and a survey approach are used. The results from the study show that even though there are many risks for the companies, brought by the use of personal mobile devices, there exist adequate solutions to mitigate these risks. However, the results from the survey approach show that the companies are not very adapted to this trend yet and there exist a need for better understanding of the problem.

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Koliai, Lyes. "Stress testing and financial risks". Thesis, Paris 9, 2014. http://www.theses.fr/2014PA090069/document.

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Cette thèse établit un cadre d’évaluation des stress tests financiers, en identifiant leurs principales limites. Trois approches ont été proposées pour améliorer les pratiques actuelles à chaque étape du processus. Elles incluent : (i) un modèle semi-paramétrique TVE–copules-paires pour les facteurs de risque financiers, avec un accent particulier sur les valeurs extrêmes, (ii) un modèle d'évaluation pour estimer l'impact de ces facteurs sur un système financier, via des effets directs, indirects et de contagion, en considérant les réactions endogènes publiques et privées, et (iii) une approche bayésienne pour mener une sélection systématique des scénarios de stress pour des portefeuilles non linéaires. Le modèle de risque a montré de meilleures performances par rapport à la plupart des spécifications courantes ; ce qui augmente la crédibilité du test. Le modèle d'évaluation est estimé pour le système bancaire français, révélant ses principales sources de vulnérabilité et le rôle clé des réactions publiques. Enfin, l'approche bayésienne a permis de remplacer les scénarios subjectifs traditionnels et d’inclure les résultats de stress tests dans la gestion quantitative des risques aux côtés des autres outils conventionnels
This thesis has set a comprehensive framework to assess the relevance of financial stress tests, identifying their main drawbacks. Three robust and flexible model frameworks have been proposed to improve current practices in each of the tests’ stages. This is achieved through: (i) a semi-parametric EVT–Pair-copulas model for financial risk factors, with a specific focus on extreme values, (ii) a valuation model to assess the impact of risk factors on a financial system, through direct and indirect effects, contagion channels, and considering private and public response functions, and (iii) a Bayesian-based approach to run a systematic selection of stress scenarios for nonlinear portfolios. The presented risk model has proven to outperform commonly used specifications, hence increasing the test’s credibility. Estimated for the French banking system, the valuation model revealed the related risk profile and the main vulnerabilities. Public responses turned to be of vital interest. Finally, the Bayesian approach allows replacing the traditional subjective scenarios and including the tests’ results in quantitative risk management alongside with other conventional tools

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Badran, Rabih. "Insurance portfolio's with dependent risks". Doctoral thesis, Universite Libre de Bruxelles, 2014. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209547.

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Cette thèse traite de portefeuilles d’assurance avec risques dépendants en théorie du risque.

Le premier chapitre traite les modèles avec risques équicorrelés. Nous proposons une structure mathématique qui amène à une fonction génératrice de probabilités particulière (fgp) proposé par Tallis. Cette fgp implique des variables équicorrelées. Puis, nous étudions l’effet de ce type de dépendance sur des quantités d’intérêt dans la littérature actuarielle telle que la fonction de répartition de la somme des montants des sinistres, les primes stop-loss et les probabilités de ruine sur horizon fini. Nous utilisons la structure proposée pour corriger des erreurs dans la littérature dues au fait que plusieurs auteurs agissaient comme si la somme des variables aléatoires équicorrélés aient nécessairement la fgp proposée par Tallis.

Dans le second chapitre, nous proposons un modèle qui combine les modèles avec chocs et les modèles avec mélanges communs en introduisant une variable qui contrôle le niveau du choc. Dans le cadre de ce nouveau modèle, nous considérons deux applications où nous généralisons le modèle de Bernoulli avec choc et le modèle de Poisson avec choc. Nous étudions, dans les deux applications, l’effet de la dépendance sur la fonction de répartition des montants des sinistres, les primes stop-loss et les probabilités de ruine sur horizon fini et infini. Pour la deuxième application, nous proposons une construction basée sur les copules qui permet de contrôler le niveau de dépendance avec le niveau du choc.

Dans le troisième chapitre, nous proposons, une généralisation du modèle classique de Poisson où les montants des sinistres et les intersinistres sont supposés dépendants. Nous calculons la transformée de Laplace des probabilités de survie. Dans le cas particulier où les montants des sinistres ont une distribution exponentielle nous obtenons des formules explicites pour les probabilités de survie.

Dans le quatrième chapitre nous généralisons le modèle classique de Poisson en introduisant de la dépendance entre les intersinistres. Nous utilisons le lien entre les files fluides et le processus du risque pour modéliser la dépendance. Nous calculons les probabilités de survie en utilisant un algorithme numérique et nous traitons le cas où les montants de

sinistres et les intersinistres ont des distributions de type phase.

Doctorat en Sciences
info:eu-repo/semantics/nonPublished

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Rizak, Samantha Nicole. "Expert judgments of environmental risks". Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/mq22663.pdf.

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Vinueza-Peter, Lorena. "Empirical modelling of environmental risks". Berlin Logos-Verl, 2004. http://deposit.ddb.de/cgi-bin/dokserv?id=2619713&prov=M&dok_var=1&dok_ext=htm.

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Saltzman, Jeffrey Reynolds Andrew. "Risks of consociationalism in Sudan". Chapel Hill, N.C. : University of North Carolina at Chapel Hill, 2006. http://dc.lib.unc.edu/u?/etd,130.

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Thesis (M.A.)--University of North Carolina at Chapel Hill, 2006.
Title from electronic title page (viewed Oct. 10, 2007). "... in partial fulfillment of the requirements for the degree of Master of Arts in the Department of Political Science." Discipline: Political Science; Department/School: Political Science.

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Espinoza, Nicolas. "Incomparable risks, values and preferences". Licentiate thesis, Stockholm : Department of Philosophy and the History of Technology, Royal Institute of Technology, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-4214.

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Bäckman, Johan. "Railway safety : risks and economics /". Stockholm, 2002. http://www.lib.kth.se/Fulltext/backman020524.pdf.

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Bolt, Katharine. "Valuing mortality risks to children". Thesis, University of East Anglia, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.445527.

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Futter, Mark R. "Predicting short term flood risks". Thesis, University of Newcastle Upon Tyne, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.315639.

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Two models for estimating the short term risk of a flood exceeding some critical flow, which take account of the season and prevailing conditions have recently been published. The model proposed by Ettrick (1986) is based on conditional probability distributions, while Smith and Karr (1986) relate the rate of exceedence of the critical level of interest to relevant covariates. Both models are fitted to a 1000 year synthetic data set, to compare the results with empirically derived immediate and 30 day ahead risk estimates. After some modifications to the Smith and Karr model, both models demonstrate reasonable accuracy. A second comparison is then made using summer data from a U.K. catchment. The results demonstrate the sensitivity of the risk to the prevailing conditions at the beginning of the period of interest. The assumptions, data requirements and accuracy of the models are compared and discussed. The Ettrick model is chosen for further consideration, given that this model is based on a precipitation threshold, whilst the Smith and Karr model is based on a flow threshold, and the data record is longer for the former. The Ettrick model is then applied to two other U.K. catchments to give all year flood risk estimates. These cover the immediate, 7 day and 30 day ahead time periods. For the immediate flow risk estimates, the importance of snow on the catchment to the levels of flood risk is highlighted. In the case of the 7 day ahead estimates, the significance of the snow is reduced. Given this latter result, the 30 day ahead estimates are not conditional on snow, but still highlight a strong seasonality in the flood risk. Application of the Ettrick model is shown to imply the variable source area concept of runoff production. This may not be the dominant runoff production mechanism on certain catchments, and as such, restricts applicability of the Ettrick model.

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Ghani, Abdul Aziz Abdul. "Spectral estimation of flood risks". Thesis, University of Newcastle Upon Tyne, 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.360137.

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A model for estimating seasonal flood risks which uses flow readings which are equally spaced in time is presented in this thesis. The model is referred to as the Spectral Model. This model can be used to estimate the probability of at least 1 exceedance of given critical levels. The model is based on the Rice distribution for peaks of a Gaussian stochastic process, whose parameters are associated with the spectral moments of the process. In the simpler form of the model, peaks are assumed independent. Simulation results obtained using realisation of Gaussian AR(1) processes indicated that the estimates of the risks using Spectral Model are less biased than those obtained from the EV1 and the POT Model, especially for higher critical levels. A modification which removes the assumption that peaks are independent using the multi-fold integrals of Gupta and Moran is also considered. Gupta's method assumes that the correlation between peaks at any lag are equal to the first autocorrelation. The Monte Carlo simulation of Moran has no such restriction on the autocorrelations but may not converge. The Model was applied to River Greta, a small catchment in County Durham in the North of England.

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Falconer, Elizabeth Jane. "Fuzzy decisions and occupational risks". Thesis, University of Salford, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.395871.

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Vieira, Thiago Andrew. "Dynamic global game coordination risks". Thesis, Massachusetts Institute of Technology, 2017. http://hdl.handle.net/1721.1/113445.

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Thesis: M. Eng., Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science, 2017.
This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Cataloged from student-submitted PDF version of thesis.
Includes bibliographical references (pages 65-67).
We study a dynamic global game model of coordination risk among a group of agents invested in a project over a finite time horizon. Once every round each agent gets a private noisy signal of the health of the project. The agent must then decide to continue participating in the project in anticipation of receiving a full return on their investment upon the projects successful completion or foreclose on the project early and receive a reduced payout. This model extends the debt global game models of coordination risk by Morris and Shin to a multi period model similar to Dynamic Global Game Models of Angeletos, Hellwig and Pavan. This extended model allows us to study coordination risk over a finite time horizon and introduce new information structures of the the agents invested in the project. Our main results come from extensions to the dynamic global game model. First, we model public signals of the health of the project between all agents invested in it and show under certain conditions that positive public information of the project can decrease the projects chances of success. Second, we allow for agents to receive private and public noisy signals of past actions, introducing herd behaviour. We then show how this herd behaviour can increase the fragility of the system to external shocks of public or private information concerning the fundamentals of the project. Last, we introduce feedback into the reserve price that agents receive upon leaving the project early. We show that this feedback can be a positive or negative force on the health of the project. We conclude with an interpretation of the model to real world bond yields and numerical examples.
by Thiago Andrew Vieira.
M. Eng.

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40

Wang, Lucinda W. "Implicit Measures and Online Risks". NSUWorks, 2015. http://nsuworks.nova.edu/gscis_etd/72.

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Information systems researchers typically use self-report measures, such as questionnaires to study consumers’ online risk perception. The self-report approach captures the conscious perception of online risk but not the unconscious perception that precedes and dominates human being’s decision-making. A theoretical model in which implicit risk perception precedes explicit risk evaluation is proposed. The research model proposes that implicit risk affects both explicit risk and the attitude towards online purchase. In a direct path, the implicit risk affects attitude towards purchase. In an indirect path, the implicit risk affects explicit risk, which in turn affects attitude towards purchase. The stimulus used was a questionable web site offering pre-paid credit card services. Data was collected from 150 undergraduate students enrolled in a university. Implicit risk was measured using methods developed in social psychology, namely, single category-implicit association test. Explicit risk and attitude towards purchase were measured using a well-known instrument in the e-commerce risk literature. Preliminary, unconditioned analysis suggested that (a) implicit risk does not affect explicit risk, (b) explicit risk does not affect attitude to purchase, and (c) implicit risk does not affect attitude towards purchase.

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Moura, Alexandra Bugalho de. "Optimal reinsurance of dependent risks". Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14783.

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Mestrado em Actuarial Science
Esta Tese foca-se no problema do resseguro ótimo para dois riscos dependentes, do ponto de vista da seguradora que cede o risco. A dependência entre os dois riscos é modelada através de cópulas. O problema de otimização a resolver consiste em encontrar a combinação de tratados de quota-share e stop-loss, para cada risco, que maximiza a utilidade esperada ou o coeficiente de ajustamento do lucro total da seguradora. Sabe-se que estes dois critérios estão ligados e que o coeficiente de ajustamento está relacionado com a probabilidade da seguradora ficar insolvente em tempo finito, através da desigualdade de Lundberg. Os resultados foram obtidos numericamente, usando o software Mathematica. A sensibilidade da estratégia de resseguro ótimo a vários valores do parâmetro de dependência, a diferentes distribuições dos riscos subjacentes e a diversos princípios de cálculo de prémios de resseguro foi analisada para três famílias diferentes de cópulas, descrevendo diferentes comportamentos da cauda da distribuição conjunta. Os resultados mostram que as dependências alteram o tratado de resseguro ótimo. Diferentes estruturas de dependência, i.e. diferentes cópulas, produzem diferentes valores para os níveis ótimos de retenção. No caso do princípio do valor esperado calculado sobre o risco total cedido, o tratado stop-loss puro é sempre ótimo, mas isso não acontece para os restantes princípios de cálculo de prémios. Em geral, o nível ótimo de retenção do tratado de quota-share decresce quando a dependência entre os riscos aumenta. Para todos os casos considerados, o coeficiente de ajustamento máximo diminui quando a dependência aumenta.
This Thesis focuses on optimal reinsurance problem for two dependent risks, from the point of view of the ceding insurance company. We assume that the two risks are dependent by means of a copula structure. By risk we mean a line of business, a portfolio of policies or a policy. The problem consists in finding the optimal combination of quota-share and stop loss treaties, for each risk, that maximizes the expected utility or the adjustment coefficient of the total wealth of the insurer. It is known that these two criteria are connected and moreover the adjustment coefficient is related to the ultimate probability of ruin of the insurer through the Lundberg inequality. Results are obtained numerically, using the software Mathematica. Sensitivity of the optimal reinsurance strategy to several values of the dependence parameter, to different distributions of the underlying risks and to a variety of reinsurance premium calculation principles are performed in three families of copulas describing different tail behaviours of the joint distribution function. Results show that dependencies alter the optimal treaty. Different dependence structures, i.e. different copulas, provide different values for the optimal retention levels. In the case of the expected value principle computed on the total ceded risk, the pure stop loss contract is always optimal, but that is not the case for the remaining premium computation principles. In general, the QS retention level decreases when dependence between the risks increases. For all cases considered, the maximum adjustment coefficient decreases when dependence increases.
info:eu-repo/semantics/publishedVersion

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42

Черниш, Єлізавета Юріївна, Елизавета Юрьевна Черныш, Yelyzaveta Yuriivna Chernysh i S. Eboson. "Health risks of secondhand smoke". Thesis, Сумський державний університет, 2018. http://essuir.sumdu.edu.ua/handle/123456789/67821.

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Bednarska, Olga. "Peculiarities of ecological risks insurance". Thesis, Видавництво СумДУ, 2007. http://essuir.sumdu.edu.ua/handle/123456789/12803.

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44

Wang, Sijia. "Default Risks in Marketplace Lending". Kent State University / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=kent1583508817334501.

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Salvati, Domenico. "Management of information system risks". Berlin dissertation.de, 2008. http://d-nb.info/995975035/04.

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Creighton, Shannon B. "Reducing Risks From Workplace Discrimination". ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/4432.

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In 2014, the Equal Employment Opportunity Commission reported multiple claims of workplace discrimination in the United States; the claims resulted in costly settlements. The purpose of this qualitative, multiple-case study—which used the theory of enterprise risk management as the conceptual framework—was to explore how 4 human resource managers in small-to-medium sized enterprises in the southeastern region of the United States successfully implemented proactive strategies to reduce the financial and legal risk resulting from workplace discrimination. Using Yin’s 5 steps of data analysis along with triangulation of findings from the semistructured interviews, company documents, and websites, the following 4 themes were identified and verified: the need for education, external accountability, formalized policies and procedures, and the barriers to proactive strategies. To reduce risks from workplace discrimination, 3 recommendations for future action by human resources managers were proposed: education, external accountability, and formalized policies and procedures. The findings and recommendations can bridge the gap between small-to-medium enterprise human resource practices and efficacious enterprise risk-management strategies. A diverse workforce can catalyze innovation, increase organizational effectiveness, and thus benefit employers and employees. Communities may benefit by experiencing a culturally representative work environment and lower unemployment for underrepresented populations.

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Castelli, Francesca <1982&gt. "Econometric models of financial risks". Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2012. http://amsdottorato.unibo.it/4274/1/Castelli_Francesca_tesi.pdf.

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The goal of this dissertation is to use statistical tools to analyze specific financial risks that have played dominant roles in the US financial crisis of 2008-2009. The first risk relates to the level of aggregate stress in the financial markets. I estimate the impact of financial stress on economic activity and monetary policy using structural VAR analysis. The second set of risks concerns the US housing market. There are in fact two prominent risks associated with a US mortgage, as borrowers can both prepay or default on a mortgage. I test the existence of unobservable heterogeneity in the borrower's decision to default or prepay on his mortgage by estimating a multinomial logit model with borrower-specific random coefficients.

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Castelli, Francesca <1982&gt. "Econometric models of financial risks". Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2012. http://amsdottorato.unibo.it/4274/.

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The goal of this dissertation is to use statistical tools to analyze specific financial risks that have played dominant roles in the US financial crisis of 2008-2009. The first risk relates to the level of aggregate stress in the financial markets. I estimate the impact of financial stress on economic activity and monetary policy using structural VAR analysis. The second set of risks concerns the US housing market. There are in fact two prominent risks associated with a US mortgage, as borrowers can both prepay or default on a mortgage. I test the existence of unobservable heterogeneity in the borrower's decision to default or prepay on his mortgage by estimating a multinomial logit model with borrower-specific random coefficients.

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LOWENKRON, ALEXANDRE. "COUSIN RISKS: THE EXTENT AND THE CAUSES OF POSITIVE CORRELATION BETWEEN COUNTRY AND CURRENCY RISKS". PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2003. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=4016@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
Esta dissertação estuda o fenômeno da correlação positiva entre o risco país e o risco cambial. A presença deste fenômeno é nociva às economias, pois as torna mais vulneráveis a choques recessivos. O trabalho busca, primeiramente, identificar qual a extensão do fenômeno separando uma amostra de 25 países em dois grupos: os que apresentam correlação positiva entre o risco país e o risco cambial e os que não apresentam. Baseado nesta divisão, em seguida é feita uma investigação de quais seriam os fatores determinantes do fenômeno. Os resultados indicam que o descasamento cambial e o baixo grau de aprofundamento financeiro estão fortemente associados com a presença do fenômeno.
This dissertation studies the positive correlation between country and currency risks observed in some countries. The presence of this phenomenon is harmful to the economies, since it brings more vulnerability to recessive shocks. The first aim of this paper is to identify the extension of this phenomenon by separating a sample of 25 countries in two groups: the one where the positive correlation is observed and the one where it is not. Based on that that taxonomy, it is implemented an investigation on what are the factors responsible for the phenomenon. The results show that exchange rate mismatch and underdeveloped financial markets are strongly associated with the presence of positive correlation between the two risks.

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Like, Toya Z. "Separate and unequal risks for victimization? an examination of city-level conditions on victimization risks /". Diss., St. Louis, Mo. : University of Missouri--St. Louis, 2006. http://etd.umsl.edu/r1681.

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